The Valuation of Interest Rate Derivative Securities
ISBN: 9780203982778
Platform/Publisher: Taylor & Francis / Routledge
Digital rights: Users: Unlimited; Printing: Unlimited; Download: Unlimited
Subjects: Economics Finance Business & Industry; Economics Finance and Accounting; Macroeconomics;

The increased volatility of interest rates during recent years and the corresponding introduction of a variety of interest rate derivative securities like bond options, futures and embedded options in mortgages, underlines the need for a comprehensive financial theory to determine values of fixed income instruments and derivative securities consistently. This book provides: * a detailed overview and classification of the different approaches to value interest rate dependent securities * a comparison of the numerical approaches to value complex securities * an empirical examination for the Dutch Fixed Income Market of some well-known interest rate models which demonstrates recent improvements to describe interest rate movements in relation to contingent claim valuation.


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